Bullets fall with gravity issue
You can do this by having your gun fire a setup like this.



Before, you gun just fired the cone, and there was nothing to make it rotate. however, if the cone is parented to a cube with the physics set to Rigid Body, and the gun fires the cube, the cone will move with it. however, there is still nothing to make it rotate. This can be fixed by enabling the slow parent option on the cone.



With this option enabled, the cone will lag behind the cube when the cube is fired out of the gun. but we still need the cone to rotate. we can do this by making it track to the cube.



Now when the cube is fired, the cone lags behind and points to the cube. this creates the illusion like it is dropping due to gravity.



However there is still a problem. when the cube hits the ground, it starts rotating. Because the cone is parented to the cube, it also starts spinning out of control. We can fix this by preventing the cube from rotating. Remember, the cubes is only so the cone has something to track to. IF you want, you can also use it to calculate the collisions.



Now we can test it again.



It now looks like it should, but there is a giant cube in front, and the cone does not look like a very convincing projectile. And, when the cube hits the ground, the cone still fires off slightly. we can fix the problems with the cube first by making it invisible, and enabling the ghost setting. 



Now it will pass through the plane, making the cone follow it as it would if it was a bomb falling to the ground. however, we made the cube invisible, so we can't see the cube anymore. we can only see the result.



This is good, but the cone still does not look like a very good projectile. 
You can obviously model anything you want for this, but I chose to model a missile because they look cool. I also added an explosion when the cube hits the ground, and some other awesome effects to make it look cool.